Price Discovery in Indian Gold Market

Main Article Content

Abhishek Halder
Himanshu Sharma

Abstract

Market volatility and collapse of world’s currencies have led investors and public in general to look for alternate assets like gold which has been identified as a good hedge against inflation whilst also holding sentimental value in the Indian context. Gold futures market is highly liquid and traded across different exchanges. This study is conducted to see if efficient market hypothesis allows for price discovery of gold spot prices from gold futures and volume traded in market using monthly data from 2009-2019. Results show that the lagged volumes of traded gold stocks do not affect the futures or spot prices of gold. Rather, the lagged futures prices cause change in spot prices of domestic gold prices. It is also found that troughs of international gold prices does not necessarily coincidence with slump in domestic gold prices which remains resilient due to domestic market sentiments. To conclude, this paper will help policymakers to design specialized gold products and make suitable future policy changes in the Indian domestic market.

Keywords:
Gold futures, spot prices, price discovery, efficient market.

Article Details

How to Cite
Halder, A., & Sharma, H. (2021). Price Discovery in Indian Gold Market. Asian Journal of Economics, Finance and Management, 3(2), 30-45. Retrieved from https://globalpresshub.com/index.php/AJEFM/article/view/963
Section
Original Research Article

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